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Duration, Planning Period, And Tests Of The Capital Asset Pricing Model

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  • George G. Kaufman

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  • George G. Kaufman, 1980. "Duration, Planning Period, And Tests Of The Capital Asset Pricing Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 1-9, March.
    • Handle: RePEc:bla:jfnres:v:3:y:1980:i:1:p:1-9
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1980.tb00032.x
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    2. Boquist, John A & Racette, George A & Schlarbaum, Gary G, 1975. "Duration and Risk Assessment for Bonds and Common Stocks," Journal of Finance, American Finance Association, vol. 30(5), pages 1360-1365, December.
    3. Bierwag, G. O. & Kaufman, George, 1978. "Bond Portfolio Strategy Simulations: A Critique," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(3), pages 519-525, September.
    4. Lanstein, Ronald & Sharpe, William F., 1978. "Duration and Security Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 653-668, November.
    5. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
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    7. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1979. "Duration and the Measurement of Basis Risk," The Journal of Business, University of Chicago Press, vol. 52(1), pages 51-61, January.
    8. Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 627-650, November.
    9. Fama, Eugene F, 1970. "Multiperiod Consumption-Investment Decisions," American Economic Review, American Economic Association, vol. 60(1), pages 163-174, March.
    10. Hopewell, Michael H & Kaufman, George G, 1973. "Bond Price Volatility and Term to Maturity: A Generalized Respecification," American Economic Review, American Economic Association, vol. 63(4), pages 749-753, September.
    11. Bierwag, G O & Khang, Chulsoon, 1979. "An Immunization Strategy Is a Minimax Strategy," Journal of Finance, American Finance Association, vol. 34(2), pages 389-399, May.
    12. Roll, Richard, 1971. "Investment Diversification and Bond Maturity," Journal of Finance, American Finance Association, vol. 26(1), pages 51-66, March.
    13. Bierwag, G. O., 1977. "Immunization, Duration, and the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(5), pages 725-742, December.
    14. Ang, James S. & Chua, Jess H., 1979. "Composite Measures for the Evaluation of Investment Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(2), pages 361-384, June.
    15. Smith, Keith V., 1978. "The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(2), pages 313-332, June.
    16. Reilly, Frank K & Joehnk, Michael D, 1976. "The Association between Market-Determined Risk Measures for Bonds and Bond Ratings," Journal of Finance, American Finance Association, vol. 31(5), pages 1387-1403, December.
    17. Percival, John, 1974. "Corporate bonds in a market model context," Journal of Business Research, Elsevier, vol. 2(4), pages 461-468, October.
    18. Bierwag, G. O. & Kaufman, George G. & Khang, Chulsoon, 1978. "Duration and Bond Portfolio Analysis: An Overview," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 671-681, November.
    19. Fisher, Lawrence & Weil, Roman L, 1971. "Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies," The Journal of Business, University of Chicago Press, vol. 44(4), pages 408-431, October.
    20. Lee, Cheng F., 1977. "Functional Form, Skewness Effect, and the Risk-Return Relationship," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(1), pages 55-72, March.
    21. Cheng, Pao L. & Deets, M. King, 1973. "Systematic Risk and the Horizon Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(2), pages 299-316, March.
    22. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages 645-653, August.
    23. Bierwag, G O & Kaufman, George G, 1977. "Coping with the Risk of Interest-Rate Fluctuations: A Note," The Journal of Business, University of Chicago Press, vol. 50(3), pages 364-370, July.
    24. Bierwag, G. O., 1979. "Dynamic portfolio immunization policies," Journal of Banking & Finance, Elsevier, vol. 3(1), pages 23-41, April.
    25. Livingston, Miles, 1978. "Duration and Risk Assessment for Bonds and Common Stocks: A Note," Journal of Finance, American Finance Association, vol. 33(1), pages 293-295, March.
    26. Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
    27. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
    28. Friend, Irwin & Westerfield, Randolph & Granito, Michael, 1978. "New Evidence on the Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 33(3), pages 903-917, June.
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    Cited by:

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    2. Richard M. Duvall & John M. Cheney, 1984. "Bond Beta And Default Risk," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 243-254, September.

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